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Publication:2782355
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zbMath1030.91029MaRDI QIDQ2782355

Marc Yor, Hiroyuki Matsumoto, Catherine Donati-Martin

Publication date: 8 February 2004


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

conditional momentsgeometric Brownian motionDufresne's identity


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (8)

A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor ⋮ Markov limits of steady states of the KPZ equation on an interval ⋮ Brownian analogues of Burke's theorem. ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ On positive and negative moments of the integral of geometric Brownian motions ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor ⋮ An extension of Seshadri's identities for Brownian motion




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